Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0075 |
| Annualized Std Dev | 0.1797 |
| Annualized Sharpe (Rf=0%) | -0.0419 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4671.0000 |
| NAs | 1.0000 |
| Minimum | -0.1284 |
| Quartile 1 | -0.0034 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0039 |
| Maximum | 0.3274 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0113 |
| Skewness | 4.5527 |
| Kurtosis | 174.0375 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0077 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0095 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0077 |
| Downside Deviation (0%) | 0.0077 |
| Maximum Drawdown | 0.5659 |
| Historical VaR (95%) | -0.0130 |
| Historical ES (95%) | -0.0251 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.1975 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-04 | 2008-12-15 | NA | -0.5659 | 3495 | 409 | NA |
| 2002-09-30 | 2004-05-10 | 2005-07-26 | -0.1639 | 711 | 406 | 305 |
| 2005-12-30 | 2006-06-27 | 2006-10-03 | -0.1104 | 191 | 123 | 68 |
| 2005-09-27 | 2005-10-31 | 2005-12-29 | -0.0501 | 66 | 25 | 41 |
| 2006-12-05 | 2007-01-25 | 2007-03-16 | -0.0409 | 69 | 34 | 35 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | 0 | 0 | 0.1 | 0.8 | 0.2 | 1.2 |
| 2003 | 0 | 0.9 | 1 | 1.4 | 0.3 | 0.5 | 0.9 | 0.5 | 1.2 | 0.7 | 0.1 | 0.7 | 8.6 |
| 2004 | 0.8 | 0.8 | 0.4 | 0.4 | 0.1 | 1.6 | 0.8 | 0 | -0.1 | -0.4 | 0.4 | -0.1 | 4.6 |
| 2005 | 0.3 | 0.3 | 1 | 0.3 | 0.5 | -1.8 | -0.2 | -0.9 | 0.1 | 0.2 | 0.6 | -0.8 | -0.4 |
| 2006 | 0.3 | -0.1 | 0.4 | 1.1 | 0.9 | 0.9 | 0.3 | 0.3 | -0.1 | 0.1 | 0.7 | 0.3 | 5.1 |
| 2007 | 0.2 | -0.3 | 0.1 | 0.1 | 0.1 | 0.5 | 0.6 | 0 | -0.1 | 0.2 | 0.9 | 0.4 | 2.7 |
| 2008 | -1 | -1.6 | 0.4 | 0.4 | -1.1 | 1.1 | -0.2 | 1 | 0.5 | -3.9 | -2.5 | 4.2 | -2.8 |
| 2009 | 1 | 1.2 | 0.9 | 1.5 | -2.5 | 0.4 | 3.6 | 0.7 | 1 | -2 | -0.6 | -0.2 | 5.1 |
| 2010 | 1.2 | 1 | 0.1 | -0.2 | -0.8 | 0.5 | 0.4 | -0.3 | 0.1 | -0.3 | -1.7 | 2 | 2.1 |
| 2011 | 1.3 | -0.6 | 0.7 | 0.5 | -0.1 | -0.3 | 3.1 | -0.2 | 0.8 | 0.3 | 0.2 | -1.1 | 4.8 |
| 2012 | 0 | 1.1 | 0.6 | -0.2 | -0.8 | -0.4 | -0.9 | 0.1 | 0.6 | 0.4 | 1 | 0.4 | 2 |
| 2013 | 0.3 | 0 | -0.1 | 0.1 | -1.7 | 0.6 | -0.7 | -0.1 | -0.8 | -1.5 | -0.2 | -1.7 | -5.8 |
| 2014 | -0.2 | 0.3 | -0.2 | 0.9 | -0.2 | -0.1 | -0.1 | 0.3 | 0.6 | -0.6 | -0.2 | 0.2 | 0.8 |
| 2015 | 0.8 | -0.1 | -0.5 | -1.1 | 0 | 0.2 | 0 | -0.2 | 0.7 | 0.5 | 0.4 | 0 | 0.8 |
| 2016 | -0.1 | -0.2 | 0.2 | 0.4 | 0.1 | 0.6 | -0.6 | 0.2 | 0.4 | 0.6 | -2 | 0 | -0.4 |
| 2017 | -0.1 | -0.8 | 0.2 | -0.1 | 0 | 0.2 | 0.8 | 0 | -0.4 | 0 | 0.2 | 0.2 | 0.3 |
| 2018 | -0.2 | 0.3 | 0.1 | 0.2 | -0.5 | 0.2 | 0.5 | 0.1 | -1.1 | -0.1 | -0.4 | 1.1 | -0.1 |
| 2019 | 0.3 | 1.5 | -0.2 | 0.3 | -0.1 | -0.4 | 0.5 | 0.2 | -0.2 | -0.1 | 0.2 | 0.5 | 2.5 |
| 2020 | 0 | -0.8 | -2.5 | -0.1 | -0.3 | 0.6 | 0.2 | 0.3 | -0.6 | 0 | 0.7 | 1 | -1.6 |
| 2021 | 0.1 | -0.3 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
